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regulations aimed at reducing counterparty risk and improving liquidity can be ineffcient. Such regulations have a direct positive …
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Liquidity has long been a great interest to investment professionals as well as academic researchers. The estimation of … the risk of illiquid asset classes so that private and illiquid assets can be reasonably compared with public and liquid …
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dealers for demanding liquidity. Last, inventory risk seems to matter little in explaining liquidity premiums. … finding stands in stark contrast to corporate bond markets. Third, traders charge higher premiums as a price for liquidity …
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Transaction costs in many international equity markets are reported as being much larger than those in the U.S. This raises questions such as what trade size these reported trading costs relate to and whether investors can reduce trading costs by timing their trades. We show, using data from the...
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This study empirically investigates the low-frequency liquidity proxies that best measure liquidity in emerging markets … comparing various low-frequency liquidity proxies with high-frequency spread measures and price impact measures. We find that …
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